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  1. #1
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    Introduction to USD-RUB, USD-KRW and USD-ZAR Cash Settled Currency Contracts

    Subject : Introduction to USD-RUB, USD-KRW and USD-ZAR Cash Settled Currency Contracts

    In pursuance of the By-Laws of DGCX and Clearing Rules of DCCC, the following is hereby notified:
    The Exchange shall introduce US-Dollar-Russian Ruble (DUSDRUB), US Dollar-Korean Won (DUSDKRW), and US Dollar-South African Rand (DUSDZAR) Cash Settled Currency Contracts to trade on DGCX platform effective Friday, December 26, 2014.

  2. #2
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    Contract Specifications of Cash Settled US Dollar- Russian Ruble Futures Contract

    Specifications Parameters
    Contract Symbols DUSDRUB
    Underlying US Dollar
    Contract Size USD 50,000
    Trading Currency Russian Ruble (RUB)
    Settlement Currency US Dollars (USD)
    Price Quote RUB for 1 USD (e.g. RUB 49.001 / 49.002 Per 1 USD)
    Minimum Tick Size 0.001 RUB
    Tick Value 50 RUB
    Trading Days Monday through Friday
    Trading Hours DGCX Trading Hours
    Trading Months Quarterly Contracts December, March, June, September, at the outset first three Contracts shall be available for trading.
    Last Trading Day 15th day of the expiry month, except where that day is a bank holiday in either Dubai or Moscow, in which case the Last Day of Trading shall be the following Business Day that is not a bank holiday in either Dubai or Moscow.
    New Contract Listing Business Day immediately following the Last Day of Trading
    Daily Variation Margin
    (VM) payment
    From Trading Currency to Settlement Currency
    Based on Spot Prices available for USD/RUB at the end of
    DGCX Trading Hours
    Final VM payment From Trading Currency to Settlement Currency
    Based on the USD-RUB fixing issued by Moscow Exchange
    (MOEX) on the last trading day
    Final Cash Settlement
    Price Basis
    Based on the USD-RUB fixing issued by MOEX on the last trading day
    Settlement
    Settlement Basis Cash
    Wholesale Trades EFS, EFP, Block trade facilities available

    Daily Price Movement
    Limit
    No price limit (for the avoidance of ‘fat finger’ errors price band shall be 1.00 RUB from previous settlement price e.g. if previous settlement price is RUB 49.001/US$ then the price band is from
    48.001 to 50.001)
    Maximum Order Size 500 lots for Banks and Institutions promoted by Banks
    All other entities 200 lots

    Initial Margin based on
    SPAN
    The Initial Margin will be denominated in RUB and the same shall be converted into equivalent USD at the prevalent Spot market rate of USD/RUB to display Initial Margin Utilization in USD terms.

    At the outset, Initial Margin shall be RUB 120,000 subject to change.
    Indicative VM Indicative VM on EOS-Clear will be displayed in USD as per the
    prevalent spot market rate for USD/RUB
    DCCC shall update the spot rates for USD/RUB intraday for at
    least 3 times at 0600 hrs, 1500 hrs and End of DGCX Trading
    Hours
    Calendar Spread Benefit 100% Calendar Spread benefit
    Extra Margin At times of high volatility, an extra margin, as deemed fit by the
    DCCC, may be charged
    Delivery Period Margin Not applicable
    Spot rate Shall be taken from available market data sources like
    Bloomberg and Reuters.

    Conversion of Variation Margin from Trading Currency into Settlement Currency-Example
    VM at Close of DGCX Trading Hours is 5000 RUB (Trading Currency) The USDRUB spot rate is 45.067 at close of DGCX Trading Hours.
    The VM will be 5000/ 45.067 = 110.94 USD (Settlement Currency) rounded off to the nearest
    US¢.

  3. #3
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    Contract Specifications of Cash Settled USD-KRW (US Dollars-Korean Won) Futures Contract

    Specifications Parameters
    Contract Symbols DUSDKRW
    Underlying US Dollar

    Specifications Parameters
    Contract Size USD 50,000
    Trading Currency Korean Won (KRW)
    Settlement Currency US Dollars (USD)
    Price Quote KRW for 1 USD (e.g. KRW 1114.1 / 1114.2 Per 1 USD)
    Minimum Tick Size 0.1 KRW
    Tick Value 5000 KRW
    Trading Days Monday through Friday
    Trading Hours DGCX Trading Hours
    Trading Months Twelve Monthly Contracts, at the outset first three serial months
    Contracts shall be available for trading.

    Last Trading Day
    The preceding Monday of the third Wednesday of the contract
    month except where that day is a bank holiday in either Dubai or Seoul, in which case the Last Day of Trading shall be the preceding Business Day that is not a bank holiday in either Dubai or Seoul
    New Contract Listing Business Day immediately following the Last Day of Trading
    Daily Variation Margin
    (VM) payment
    From Trading Currency to Settlement Currency
    Based on Spot Prices available for USD-KRW at the end of
    DGCX Trading Hours
    Final VM payment From Trading Currency to Settlement Currency
    Based on the USD-KRW fixing issued by Korea Financial Telecommunication & Clearing Corporation (KFTCC) determined by Seoul Money Brokerage Service Limited (SMBSL), issued between 9.00 AM and 3.30 PM Seoul Time
    Final Cash Settlement
    Price Basis
    Based on the USD-KRW fixing issued by KFTCC determined by
    SMBSL, issued between 9.00 AM and 3.30 PM Seoul Time
    Settlement basis Cash
    Daily Price Movement
    Limit
    No price limit (for the avoidance of ‘fat finger’ errors price band shall be 10 KRW from previous settlement price e.g. if previous settlement price is KRW 1114.1/US$ then the price band is from
    1104.1 to 1124.1))
    Maximum Order Size 500 lots for Banks and Institutions promoted by Banks
    All other entities 200 lots

    Specifications Parameters

    Initial Margin based on
    SPAN
    The Initial Margin will be denominated in KRW and the same shall be converted into equivalent USD at the prevalent Spot market rate of USD/KRW to display Initial Margin Utilization in USD terms.

    At the outset, Initial Margin shall be KRW 900,000 subject to change.
    Indicative VM Indicative VM on EOS-Clear will be displayed in USD as per the
    prevalent spot market rate for USD/KRW
    DCCC shall update the spot rates for USD/KRW intraday for at
    least 3 times at 0600 hrs, 1500 hrs and End of DGCX Trading
    Hours
    Calendar Spread Benefit 100% Calendar Spread benefit
    Extra Margin At times of high volatility, an extra margin, as deemed fit by the
    DCCC, may be charged
    Delivery Period Margin Not applicable
    Spot rate Shall be taken from available market data sources like
    Bloomberg and Reuters.

    Conversion of Variation Margin from Trading Currency into Settlement Currency-Example
    VM at Close of DGCX Trading Hours is 300,000 KRW (Trading Currency) The USDKRW spot rate is 1,112.5 at close of DGCX Trading Hours.
    The VM will be 300,000/1112.5 = 269.66 USD (Settlement Currency) rounded off to the nearest
    US¢.

  4. #4
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    Contract Specifications of Cash Settled USD-ZAR (US Dollars-South African Rand) Futures Contract

    Specifications Parameters
    Contract Symbols DUSDZAR
    Underlying US Dollar
    Contract Size USD 50,000
    Trading Currency South African Rand (ZAR)
    Settlement Currency US Dollars (USD)
    Price Quote ZAR for 1 USD (e.g. ZAR 11.016 / 11.017 Per 1 USD)
    Minimum Tick Size 0.001 ZAR
    Tick Value 50 ZAR

    Specifications Parameters
    Trading Days Monday through Friday
    Trading Hours DGCX Trading Hours
    Trading Months Twelve Monthly Contracts, at the outset first three serial months
    Contracts shall be available for trading.


    Last Trading Day
    The preceding Monday of the third Wednesday of the contract
    month except where that day is a bank holiday in either Dubai or Pretoria, in which case the Last Day of Trading shall be the preceding Business Day that is not a bank holiday in either Dubai or Pretoria
    New Contract Listing Business Day immediately following the Last Day of Trading
    Daily Variation Margin
    (VM) payment
    From Trading Currency to Settlement Currency
    Based on Spot Prices available for USD/ZAR at the end of
    DGCX Trading Hours
    Final VM payment From Trading Currency to Settlement Currency
    Based on the USD-ZAR Fixing issued by Reserve Bank of South
    African on the last trading day
    Final Cash Settlement
    Price Basis
    Based on the USD-ZAR Fixing issued by Reserve Bank of South
    Africa on the Last Day of Trading
    Wholesale Trades EFS, EFP, Block trade facilities available
    Settlement Cash
    Daily Price Movement
    Limit
    No price limit (for the avoidance of ‘fat finger’ errors price band
    shall be 0.20 ZAR from previous settlement price e.g. if previous settlement price is ZAR 11.016/ US$ then the price band is from
    10.816 to 11.216)
    Maximum Order Size 500 lots for Banks and Institutions promoted by Banks
    All other entities 200 lots


    Initial Margin based on
    SPAN
    The Initial Margin will be denominated in ZAR and the same shall be converted into equivalent USD at the prevalent Spot market
    rate of USD/ZAR to display Initial Margin Utilization in USD
    terms.

    At the outset, Initial Margin shall be ZAR 11,000 subject to change.


    Indicative VM
    Indicative VM on EOS-Clear will be displayed in USD as per the prevalent spot market rate for USD/ZAR
    DCCC shall update the spot rates for USD/ZAR intraday for at least 3 times at 0600 hrs, 1500 hrs and End of DGCX Trading
    Hours

    Specifications Parameters
    Calendar Spread Benefit 100% Calendar Spread benefit
    Extra Margin At times of high volatility, an extra margin, as deemed fit by the
    DCCC, may be charged
    Delivery Period Margin Not applicable
    Spot rate Shall be taken from available market data sources like
    Bloomberg and Reuters.
    Conversion of Variation Margin from Trading Currency into Settlement Currency-Example
    VM at Close of DGCX Trading Hours is 1000 ZAR (Trading Currency) The USDZAR spot rate is 10.990 at close of DGCX Trading Hours.
    The VM will be 1000/10.990 = 90.99 USD (Settlement Currency) rounded off to the nearest US¢.

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